Tarun Agrawal
Executive Director at Morgan Stanley
- Role
- Executive Director at Morgan Stanley
- Location
- Mumbai, MH, IN
- LinkedIn followers
- 500 followers
About Tarun Agrawal
Tarun is a competent professional with nearly 16 years of experience in areas like Credit Risk, Market Risk, Economic Risk Capital (ERC) Framework, Stress Testing Framework like CAAR & PPNR, Consumer & Retail Analytics, Fraud Detection, Model Risk Audit, Eletronic Trading Algorithm Model, Machine Learning Model, BASEL Implementation, Derivative and Fixed income valuation model, & Interest Rate Market trading and analysis.Currently working with Morgan Stanley as Model Risk Auditor, specialized in Algorithm Trading Model, Operational Risk Model, Machine Learning Model and Market Risk Model Audit and CCAR and PPNR Models. Worked with CRISIL India Pvt. Ltd, as Lead Analyst/Manager for clients across globe, leading team of twenty analyst and senior analyst to validate CAAR and PPNR models for Global Banking and Markets division, Rates model for Balance Sheet Management group, Market risk models and consumer analytics models. Domain expertise in Market Risk (Validation, Development and Audit), Credit Risk (Validation & Model Development), Economic Risk Capital Framework Development, CAAR & PPNR Stress Testing Model Validation and Audit, Operational Risk Audit, Algorithm Trading Model and Machine Learning Model Audit, FRTB Guideline Impact and Implementation, ICAAP, Consumer Analytics Model Validation, Quantitative Techniques (Econometric modeling, Statistical analysis) and Project Management.
Experience
Executive Director
Jan 2026 — Present · Mumbai, IN
Education
Indian Institute of Technology, Delhi
B.Tech, Electrical Engineering
2006 — 2010
The Global Association of Risk Professionals
Financial Risk Manager (FRM), Risk Management
2012 — 2013
Chartered Financial Analyst Institute
Charter Financial Analyst
2013
Skills
- Quantitative Finance
- Ccar
- Derivatives
- Java
- C
- Management Consulting
- Financial Engineering
- Market Risk
- Trading
- Investment Banking
- Ppnr
- Matlab
- Option Pricing Models
- Statistical Modeling
- Time Series Analysis
- Stress Testing
- C++
- Business Analysis
- Equities
- Econometric Modeling
- Sas Programming
- Banking
- Risk Management
- Portfolio Management
- Vba
- Financial Econometrics
- Analytics
- Stochastic Modeling
- Hindi
- Financial Modeling
- Credit Risk
- Risk Modeling
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